December 20, 2024 11:15 GMT
US TSY FUTURES: Short Setting In The Long End Dominated On Thursday
US TSY FUTURES
OI data points to a mix of net short cover (TU), net short setting (FV, US & WN) and long cover (TY & UXY) during Thursday’s twist steepening of the curve.
- The net short setting in US & WN futures dominated in DV01 equivalent terms.
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19-Dec-24
18-Dec-24
Daily OI Change
OI DV01 Equivalent Change ($)
TU
4,223,583
4,228,301
-4,718
-182,275
FV
6,110,645
6,093,976
+16,669
+706,560
TY
4,453,426
4,454,886
-1,460
-94,706
UXY
2,153,940
2,159,407
-5,467
-482,374
US
1,875,093
1,851,306
+23,787
+3,000,675
WN
1,771,641
1,766,642
+4,999
+956,884
Total
+33,810
+3,904,765
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